My Cole does very well as melee but its important to gear him and build him to survive there so he can do his thing. Here's a 14 point baseline for how my Cole was at early/post specialization levels:
Twin Fangs (short cooldown attack)
Dance of Death (passive for stam regen on kill)
Sneak Attack (passive for crit)
Deathblow (short cooldown attack)
Caltrops (meh prereq for the next one)
Looked Like It Hurt (passive for stam regen on crit)
Stealth (bread and butter)
Easy to Miss (passive threat reduction)
Hidden Blades (long cooldown attack)
Overkill (upgrade for hidden blades)
I Was Never Here (passive resets stealth cooldown on kill)
Knife In The Shadows (passive auto crit while stealthed)
Mark of Death (debuff foes)
Mark of Doom (upgrade for Mark of Death)
The key is to set his tactics to have Stealth as the only preferred ability. This way he will use it every time he can and thus not only avoid most threats but capitalize on auto crits. Giving him heal on hit on one weapon and guard on hit on his armor is also a great choice to keep him healthy and stabbing.
I filled out the whole assassin tree and most upgrades and passives I could as I leveled beyond that and he was just beastly.